In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

A new algorithm, which is based on the splitting-step idea and the penalization method, for reflected stochastic differential equation (RSDE) in the upper half-space R¹<sub >+</sub> is presented in this paper. After some important estimates about RSDEs and penalization ODEs are obtained, the local pathwise...